Many sophisticated investors rely on scenario analysis to select a portfolio. These investors define prospective economic scenarios, assign probabilities to them, translate the scenarios into expected asset class returns, and select the portfolio with the highest expected return or expected...

Traditional portfolio optimization models specify placement of capital as rather irrevocably and fully at risk through investment horizon(s) or continuously. Under this constraint, asset class allocation typically serves as primary mode of diversification, pursuing risk moderation by seeking to...

In finance, decision making and choice requires that we assume that asset prices tend to trend. This assumption also logically enables us to construct exits to limit losses and protect capital. But investors have good reason to be uneasy regarding the potential for significant loss when using a...

This paper conjectures that economics has changed profoundly since the 1970s and that these changes involve a new understanding of the relationship between theoretical and applied work. Drawing on an analysis of John Bates Clark medal winners, it is suggested that the discipline became more...

The economic paradigms of Ludwig von Mises on the one hand and of John Maynard Keynes on the other have been correctly recognized as antithetical at the theoretical level, and as antagonistic with respect to their practical and public policy implications. Characteristically they have also been...

The interconnection of mathematics and economics reflects changes in both the mathematics and economics communities over time. The respective histories of these disciplines are intertwined, so that both changes in mathematical knowledge and changing ideas about the nature of mathematical...

In the homogeneous case of one type of goods or objects, we prove the existence of an additive utility function without assuming transitivity of indifference and independence. The representation reveals a positive factor smaller than 1 that infuences rational choice beyond the utility function...

This article is the last in the series of four articles adapted from the author's doctoral research. The author sets out a quantitative methodology to enable a general statement to be made for the existence and the properties of the Common Good (CG) originated from the Holy Scriptures by using a...

The purpose of this paper is to investigate whether a dynamic Value at Risk model and high frequency realized volatility models can improve the accuracy of 1-day ahead VaR forecasting beyond the performance of frequently used models. As such, this paper constructs 60 conditional volatility...

In this paper we propose a method that provides a useful technique to compare relationship between risk involved that takes customer becomes defaulter and debt collection process that might make this defaulter recovered. Through estimation of competitive risks that lead to realization of the...